摘要翻译：
次贷危机和全球金融危机的双重危机引发了对非均衡市场动力学解释的呼声。最近，一种很有前途的方法是使用基于agent的模型来模拟市场动态。这些模型的一个关键方面是均衡之间关键转变的内生出现，即由多重均衡和不断变化的市场参数引起的市场崩溃。几个研究主题发展了包括多重均衡的基于微观经济学的模型：社会决策理论（Brock和Durlauf)、量子反应模型（McKelvey和Palfrey）和战略互补性（Goldstein）。文献中需要填补的一个空白是对这些模型之间关系的统一分析，以及聚合临界性是如何从个体代理水平出现的。本文从McFadden的个体agent视角和突变理论的集合视角出发，回顾了基于agent的市场基础，强调了不同方法之间的联系。研究表明，不确定性因素的变化对它们之间相互作用的价值有影响，即使这些变化是片面的，也会对市场不稳定和双重危机效应等系统性市场风险起到核心作用。这些相互作用可以内生地导致危机，而危机是市场的一种突现现象。
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英文标题：
《Multi-agent Economics and the Emergence of Critical Markets》
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作者：
Michael S. Harr\'e
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最新提交年份：
2018
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分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Physics        物理学
二级分类：Adaptation and Self-Organizing Systems        自适应和自组织系统
分类描述：Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应，自组织系统，统计物理，波动系统，随机过程，相互作用粒子系统，机器学习
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
  The dual crises of the sub-prime mortgage crisis and the global financial crisis has prompted a call for explanations of non-equilibrium market dynamics. Recently a promising approach has been the use of agent based models (ABMs) to simulate aggregate market dynamics. A key aspect of these models is the endogenous emergence of critical transitions between equilibria, i.e. market collapses, caused by multiple equilibria and changing market parameters. Several research themes have developed microeconomic based models that include multiple equilibria: social decision theory (Brock and Durlauf), quantal response models (McKelvey and Palfrey), and strategic complementarities (Goldstein). A gap that needs to be filled in the literature is a unified analysis of the relationship between these models and how aggregate criticality emerges from the individual agent level. This article reviews the agent-based foundations of markets starting with the individual agent perspective of McFadden and the aggregate perspective of catastrophe theory emphasising connections between the different approaches. It is shown that changes in the uncertainty agents have in the value of their interactions with one another, even if these changes are one-sided, plays a central role in systemic market risks such as market instability and the twin crises effect. These interactions can endogenously cause crises that are an emergent phenomena of markets.
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PDF链接：
https://arxiv.org/pdf/1809.01332